The Performance and Asset Allocation of German Robo-Advisors

Michael Puhle ()
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Michael Puhle: Department of Finance, Corvinus University Budapest, Hungary

Society and Economy, 2019, vol. 41, issue 3, 331-351

Abstract: After a short historical perspective on the emergence of robo-advisors and an overview of how they manage other people’s money, we evaluate the performance of five German robo-advisors in the period between May 2015 and December 2018. Performance tests are conducted using Sharpe’s (1966) and Jensen’s (1968) performance methodologies. We also employ the returns-based style analysis of Sharpe (1992) to determine the exposure of robo-advisors to different non-overlapping asset classes. We report the following findings: First, no robo-advisor was able to beat the benchmark before or after considering fees. Second, robo-advisor performance varies greatly in the sample period even for portfolios that should appeal to clients with similar risk preferences. Third, these performance differences remain unexplained after accounting for the different asset allocations.

Keywords: robo-advisor; robo-advise; FinTech; style analysis (search for similar items in EconPapers)
JEL-codes: G11 G21 G23 (search for similar items in EconPapers)
Date: 2019
Note: This work was supported by the Hungarian National Research, Development and Innovation Office under project 2018-1.3.1-VKE.
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Citations: View citations in EconPapers (2)

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